Pressing the Shift key while changing volume with volume keys on your keyboard will toggle the "Play feedback when volume is changed" setting.
As I unchecked this preference, I find it very useful to get a quick idea of the volume when I plug my MacBook to an unknown audio system.
[kirkmc adds: This is a dupe, but the original hint is so old (it was back in 2002) that I felt it would be useful to run this.]
Mac OS X Hints
http://hints.macworld.com/article.php?story=20120526021306139